I am travelling to Ukraine to visit family. If you are a Kyiv-based volatility trader and would like to chat, send me an email.

Speaking of, Ukraine has a tiny options market (here's front month options on the UX index futures) Open interest at the time of writing is 15K contracts.

Making Money In Volatility Is Difficult

Well - making money in anything is difficult, but volatility is both difficult and complex. I received an interesting performance table for a number of  volatility and options funds (Nelson Report from Soc Gen, cannot post here for legal reasons) .

Total of 48 funds across 38 managers with average fund being about 6 years old. Out of 48 42 have positive average returns, 18 have sharpe over 1, and only 5 have sharpe over 2. These 5 are

  • Structured Alpha 1000 from Allianz 
  • Bond VOL from Global Sigma, as well as their 
  • Global Sigma Plus program
  • Mint Tower
  • Twin Tree

I am not familiar with the last two names, if you have any interesting information please get in touch.

P.S. A reader emailed me: "In your latest post your mention a report from Soc Gen.  I have access to their markets portal, but can't find any recent report authored by or related to a Nelson or anything volatility.  I'm very curious to look closer though.  Can you help with any other identifiers of said report?"   My reply: "I don't have access to the research portal and received it from a colleague. Maybe this will help - it was not a pdf report, but a spreadsheet called SG Nelson Report (May 2016) . Inside the spreadsheet it is called "Newedge Nelson Report".

SEC Charges Karen "The Supertrader" Bruton With Fraud

The filing is available here, but the summary is as follows:
Ms Bruton is a self-taught options trader who allegedly earned millions in profit with fraud. She gave a number of interviews that are available on youtube, and apparently is a known name for retain options traders.

SEC alleges that she would realize gains and roll over losses, but charge fees on realized gains. What I don't understand is how is this possible using listed options (she was in the business since 2008, why didn't she go bust? was it  incoming funds that kept her afloat?) and mark to market accounting? Didn't any of the clients ask to see actual account statements from their broker?

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...